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Private Information and the Mortgage Market: Evidence and a Theory of Crises

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  • Robert Shimer
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    Abstract

    A growing body of evidence suggests that private information is important in the mortgage-backed securities market. Recent research reconsiders the theory of how investors trade in the presence of private information. This paper summarizes the evidence and uses the new theoretical approach to explain how trade in mortgage-backed securities can collapse during a crisis.

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    File URL: http://www.bcentral.cl/estudios/documentos-trabajo/pdf/dtbc716.pdf
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    Bibliographic Info

    Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 716.

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    Date of creation: Dec 2013
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    Handle: RePEc:chb:bcchwp:716

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    1. Chris Downing & Dwight Jaffee, 2009. "Is the Market for Mortgage-Backed Securities a Market for Lemons?," Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2257-2294, July.
    2. Cem Demiroglu & Christopher James, 2012. "How Important is Having Skin in the Game? Originator-Sponsor Affiliation and Losses on Mortgage-backed Securities," Review of Financial Studies, Society for Financial Studies, vol. 25(11), pages 3217-3258.
    3. Benjamin J. Keys & Tanmoy Mukherjee & Amit Seru & Vikrant Vig, 2010. "Did Securitization Lead to Lax Screening? Evidence from Subprime Loans," The Quarterly Journal of Economics, MIT Press, vol. 125(1), pages 307-362, February.
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